In this paper, we extend the concept of mutual exclusivity proposed by Dhaene and Denuit (1999) to its tail counterpart and baptise this new dependency structure as tail mutual exclusivity. Probability levels are first specified for each component of the random vector. Under this dependency...

Reinsurance is a versatile risk management strategy commonly employed by insurers to optimize their risk profile. In this paper, we study an optimal reinsurance design problem minimizing a general law-invariant coherent risk measure of the net risk exposure of a generic insurer, in conjunction...